You’ll then need to see, based on running tools like YUI, where the best gains can be made on your side. Chances are you’ll get best results from:

CSS & JavaScript combination (to reduce HTTP requests)

CSS & JavaScript minification (to reduce file size)

Use of CSS Sprites

Positioning of page content and resources (top or bottom etc.)

We have a pre-deployment process that combines and minifies CSS and JS files prior to upload. The live servers know to include these smaller resources in the web pages, the test and development servers know to include the raw files.

How you proceed really depends a lot on your setup, but some steps (such as use of a Content Delivery Network) are really for the big boys in my experience. Have fun!